资本资产定价模型有关假设的逻辑分析

资本资产定价模型 (CAPM)假设投资者具有一致预期 ,关于资本资产各项特征的判断完全相同 ,投资者会选择同一个更优的组合。这样 ,所有投资者最终会同时买入 (或卖出 )某一项资产 ,而不存在相应的卖出 (或买入 )者 ,这说明模型假设存在逻辑上的悖论。市场有效性决定了投资者不可能运用历史数据对当前和将来趋势作出准确判断 ,CAPM模型所提供的最优组合只是对过去不同时期优化值的平均 ,有关假设忽视了投资者对资本资产预期价值判断的多样性。投资者不会统一按照CAPM给出的唯一组合来选择风险资产 ,CAPM的最优投资组合可行集实际上是投资组合可能集合的前沿曲线的渐近线 ,而不是前沿曲线的切线。

A Logical Analysis of the Hypothesis of Capital Asset Price Model

Capital Asset Price Model(CAPM) presumes that all investors have same prolepsis about asset characteristic in capital market, and investors will chose same portfolio to maximize their return. Therefore, all investors will try to purchase (or sell) an asset, there will not be the relaxed provider (or purchaser). It means that illogicality occurred among the hypothesis. Due to the efficiency of the market, investors cannot determine the market trend very accurately based on historic data. In fact, the portfolio provided by CAPM is the average of optimized values during the past periods. The CAPM's hypothesis ignored the variety of asset characteristic given by investors. Investors will not chose the same portfolio, and feasible optimized portfolio collectivity will be an asymptote of frontier curve of possible portfolio collectivity, not the tangent of the frontier curve.